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Alexandre Roch
Alexandre Roch
ESG UQAM, Finance Department
Email verificata su uqam.ca - Home page
Titolo
Citata da
Citata da
Anno
Liquidity risk, price impacts and the replication problem
AF Roch
Finance and Stochastics 15 (3), 399-419, 2011
672011
Resilient price impact of trading and the cost of illiquidity
A Roch, H Mete Soner
International Journal of Theoretical and Applied Finance 16 (06), 1350037, 2013
632013
Liquidity models in continuous and discrete time
S Gökay, AF Roch, HM Soner
Advanced mathematical methods for finance, 333-365, 2011
572011
A liquidity-based model for asset price bubbles
RA Jarrow, P Protter, AF Roch
Quantitative Finance 12 (9), 1339-1349, 2012
402012
Optimal execution cost for liquidation through a limit order market
E Chevalier, VL Vath, S Scotti, A Roch
International Journal of Theoretical and Applied Finance 19 (01), 1650004, 2016
142016
Distilling liquidity costs from limit order books
D Amaya, JY Filbien, C Okou, AF Roch
Journal of Banking & Finance 94, 16-34, 2018
112018
Optimal exit strategies for investment projects
E Chevalier, VL Vath, A Roch, S Scotti
Journal of Mathematical Analysis and Applications 425 (2), 666-694, 2015
102015
Liquidity risk, volatility and financial bubbles
A Roch
72009
Liquidity Risk and the Term Structure of Interest Rates
R Jarrow, A Roch
52013
Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type
AF Roch
Journal of Probability and Statistics 2010, 2010
52010
Existence and uniqueness of viscosity solutions of an integro-differential equation arising in option pricing
H Ishii, A Roch
SIAM Journal on Financial Mathematics 12 (2), 604-640, 2021
42021
Optimal dividend and capital structure with debt covenants
E Chevalier, V Ly Vath, A Roch
Journal of Optimization Theory and Applications 187, 535-565, 2020
42020
Asymptotic asset pricing and bubbles
A Roch
Mathematics and Financial Economics 12 (2), 275-304, 2018
42018
Optimal liquidation through a limit order book: A neural network and simulation approach
A Roch
Methodology and Computing in Applied Probability 25 (1), 3, 2023
22023
Valuing Corporate Securities When the Firm’s Assets are Illiquid
H Ben-Ameur, T Fakhfakh, A Roch
Computational Economics 63 (2), 579-598, 2024
12024
An optimization dichotomy for capital injections and absolutely continuous dividend strategies
JF Renaud, A Roch, C Simard
arXiv preprint arXiv:2311.10191, 2023
2023
An optimization dichotomy for capital injections and absolutely continuous dividend strategies
A Roch, C Simard
arXiv. org Papers, 2023
2023
CAHIER DE RECHERCHE DE LA CHAIRE FINTECH AMF–FINANCE MONTRÉAL
C Lorand, A Roch
2022
Hedging of American Options in Illiquid Markets with Price Impacts
AF Roch
International Journal of Theoretical and Applied Finance 25 (01), 2250001, 2022
2022
Option prices under liquidity risk as weak solutions of semilinear diffusion equations
MA Fahrenwaldt, AF Roch
Nonlinear Differential Equations and Applications NoDEA 24, 1-32, 2017
2017
Il sistema al momento non può eseguire l'operazione. Riprova più tardi.
Articoli 1–20